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冲鸭cfa · 2023年05月19日

hedge 规避风险

NO.PZ2018062002000003

问题如下:

Tim owns a toys manufacturer limited in England. His company sell toys to customers in the United States. The customer will pay in US dollar (USD) in four months. Tim believes that the USD is more likely to depreciate than GBP. Therefore, he plans to sell four-mounth futures contracts on the USD. When the USD depreciates against the GBP, the seller of such contracts will obtain profits. According to the information, which of the following statements is correct?

选项:

A.

Tim would best be characterized as a hedger.

B.

Tim would best be characterized as an investor.

C.

Tim would best be characterized as an information-motivated trader.

解释:

A is correct.

Tim would best be characterized as a hedger, because he is hedging the risk of possible depreciation of US dollar.

考点:Intermediaries Of Financial Market

hedger和投资者不同,它投资金融资产不是为了赚取利润,而是为了规避风险。通常对冲者手里是已经持有一定的资产的,但是担心手里这些资产未来价格会下跌,所以通过购买衍生产品来规避这些资产日后真的下跌时的风险。比如农名伯伯(hedger)为了规避自己种的粮食未来价格下跌的风险而进入期货交易。

这道题目很明显可以看出Tim是位于英格兰的一家玩具制造商的老板,由于美元贬值的考虑,进入了一个期货合约,因为他是从业务角度为潜在风险进行对冲,所以是hedger。

原版书关于hedger的定义是:In general, hedgers trade to offset or insure against risks that concern them. In addition to forward contracts, they may use futures contracts, option contracts, or insurance contracts to transfer risk to other entities more willing to bear the risks. Often the hedger and the other entity face exactly the opposite risks, so the transfer makes both more secure, as in the grain example.

上课时老师讲到hedge对应的是风险对冲。请问本题是如何体现规避风险,进行风险对冲的?

1 个答案

王园圆_品职助教 · 2023年05月19日

同学你好,Tim的公司在英国,但是会在美国卖玩具

这样就会收到美金货款

如果美金相对英镑贬值,那最后美金货款换成英镑就会变少,相当于Tim公司的销售额就会变小

所以Tim就同时卖出一个美元的期货(买入是看涨,卖出是看跌),那未来美元如果真的贬值了,这个期货合约就能为Tim带来盈利

另一方面Tim的公司销售额由于美元贬值变小

一面盈利,一面亏损,互相就抵消了,从而Tim就实现了风险的对冲,不受汇率波动风险的影响了

反之,如果美元上涨,则销售收入增加,期货产生亏损,同样最后不受美元汇率波动影响